Hi, Rob! In the fifth chapter of AFTS you give an example of long only trend following strategy. You note that risk targeting misses the target. In your test for the Jumbo portfolio, with a 20% target, the realized risk is 14.8% (table 20). The reasons are obvious, since the system periodically has not a position in one or another instrument. Do you approve of a special increase in target risk by the amount of the lag? For example, tau = 20% * (20% / 14.8%) = 27%?
Hey all, I'm working through the LT book and have been doing spreadsheets of costs/inst risk/min capital req - problem i'm having is im finding it hard to locate the cash markets for some instruments on TradingView : Eg, T-Bonds, 10Yr T-Note, 2Yr T-note, 5Yr T-note, Sonia 3 month, SOFR 3 month, Euro Schatz, Euro Buxl, Euro Bobl, Euribor. I can find the futures markets no problem, but the cash ones seem to elude me. My broker (CMC) offers cash markets for them so i presumed they're out there? Any info or advice on this would be great, Thanks
There aren't cash markets for STIR. Think about it how can you trade euribor 'cash'? What even does that even mean? For the bonds there are cash markets but not ones that really can be accessible by retail (There aren't really cash markets that retail investors can access in most futures) What you're probably seeing in CMC is daily funded cfd or similar Eob
Right... are you sure that trading is the right option for you? Because without being rude, this is very elementary stuff. In the UK it's covered at the age of 10 years old. It's also a question that could be answered with a basic google search, so I feel like you are wasting my time here.... Rob
Hi, Just doing my starter system with 2 instruments but am a touch skeptical about my risk adjusted costs, they seem extremely low. I’m trading CFD’s per point. I’ve checked it loads and I’m sure I’ve calculated it correctly, it just seems a bit odd that my risk adjusted cost comes out so low, way below the 0.08 speed limit, which makes me just want to make sure I’m on the right track. Does it seem like I’ve not do something quite right here? Below is the minimum order I can place on the Nasdaq Forward - 0.02 units, with a 1 point move = £0.01 / $0.012c Thank you for any time and help, I appreciate you’re very busy, just wanted to ask for some help so I know I’m on the right track. Thanks
Costs are correct. NASDAQ is a cheap market - tight spread, highish vol. Costs 0.00018 in SR units (hope you can work that out as a %) to trade NASDAQ futures per trade, so less than half what you have here. Note that with zero commission, minimum capital size does not affect costs. Rob
Thanks Rob, I appreciate your time and replies on this, it really means a lot to me. I've just recalculated my costs actually as i forgot that on CMC i pay the spread cost twice (for entry and exit, and both are paid on the entry), so i've multiplied 'Transaction cost (TC_ccy)' by 2. For 'Multiplier for trade costs' i wonder if i should set mine to 0.5? because my broker says "We charge you to roll over a futures contract into the next month or quarter, equal to half the applicable spread to open and close a trade" The other thing with costs that i just want to make sure i'm doing correctly is when the point value is so low. Basically, when I calculate a 1 point move in the U.S T-Note 5YR (dated CFD, per point), at the minimum trade size (0.01 units) a 1 point move equals £0.00008 I got this by finding what a 1000 point move is (£0.08) and doing : 0.08/1000 = £0.00008 which in instrument currency would be $0.00010 I did it like this because my brokers order ticket doesn't show the value of a 1 point move as it's so low. Correct me if i'm wrong but that seemed like the correct thing to do for this instrument when i can't see what a 1 point move is on the order ticket. Thanks 1 point move : 1000 point move :